LTPZ Options History — May 2014 In May 2014, LTPZ traded between $62.54 and $65.54. ATM implied volatility averaged 9.6%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded below realized volatility by 2.7% (HV 20d: 12.3%). Max pain ranged from $61.00 to $61.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days.
Notable Days 2014-05-02 : Highest Volume — 36 contracts2014-05-13 : Largest IV spike — 36.9% change2014-05-28 : Highest IV Rank — 8.3%2014-05-28 : Largest Expected Move — 3.1%Monthly Statistics Metric Avg Min Max Open Close Price $63.93 $62.54 $65.54 $63.36 $65.01 Max Pain $61.00 $61.00 $61.00 $61.00 $61.00 ATM IV 9.6% 6.1% 10.7% 10.4% 9.8% Expected Move 2.9% 2.7% 3.1% 3.0% 2.8% HV 20d 12.3% 10.6% 14.8% 10.6% 14.1% HV 60d 11.7% 11.1% 12.4% 11.5% 12.3% IV Rank 5.7% 0.0% 8.3% 6.3% 6.7% IV Percentile 9.1% 0.0% 19.8% 15.1% 8.7% Term Structure 0.4% -0.5% 1.2% 0.1% -0.1% Skew 25d 0.0% -0.8% 0.5% 0.3% -0.8% Skew 10d -0.7% -4.4% 18.7% -0.6% 18.7% Call IV 25d 10.2% 9.6% 11.0% 10.3% 11.0% Put IV 25d 10.3% 9.4% 10.9% 10.6% 10.1% Bid-Ask Spread % 95.64 82.63 125.46 111.82 89.47 Gamma HHI 0.20 0.16 0.35 0.19 0.25 Net GEX -24.3K -43.5K -3.6K -3.6K -43.5K Net DEX 138.0K -62.2K 379.8K -34.1K 379.8K Net VEX -1.5K -1.8K -847 -902 -1.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 6.333 0 36 0 0 Total OI 164.857 88 189 88 187
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2014-05-01 $63.36 $0.00 10.4% 3.0% 10.6% 6.3% 0.0% 0.3% 0.1% -3.6K -34.1K -902 0.00 111.82 0 0 34 54 2014-05-02 $64.05 $0.00 9.6% 2.8% 10.6% 4.8% 0.0% -0.2% 0.3% -6.0K -62.2K -847 0.00 125.46 0 36 34 54 2014-05-05 $63.40 $61.00 10.1% 3.0% 11.6% 5.7% 0.0% 0.5% 0.2% -12.8K -11.8K -1.0K 0.00 97.38 0 26 34 90 2014-05-06 $63.59 $61.00 9.7% 2.9% 10.7% 5.0% 0.0% 0.1% 0.4% -20.3K 73.7K -1.5K 0.00 87.29 0 0 34 116 2014-05-07 $63.34 $61.00 9.5% 2.9% 10.8% 4.6% 0.0% 0.1% 0.4% -20.8K 84.2K -1.5K 0.00 98.38 0 13 34 116 2014-05-08 $63.26 $61.00 8.4% 2.8% 10.8% 2.7% 0.0% 0.1% 0.9% -22.4K 98.1K -1.6K 0.00 98.15 0 14 34 129 2014-05-09 $62.98 $61.00 8.3% 2.8% 10.7% 2.4% 0.0% 0.2% 0.9% -26.2K 188.7K -1.6K 0.00 91.79 0 0 24 143 2014-05-12 $62.54 $61.00 6.1% 2.8% 10.7% 0.0% 0.0% 0.3% 0.5% -24.5K 211.4K -1.5K 0.00 97.95 0 0 24 143 2014-05-13 $62.92 $61.00 8.3% 2.8% 10.8% 4.0% 0.0% 0.3% 0.8% -25.0K 183.9K -1.6K 0.00 92.77 0 0 24 143 2014-05-14 $63.85 $61.00 8.2% 2.8% 11.8% 3.8% 0.0% 0.4% 1.2% -22.3K 112.7K -1.5K 0.00 98.52 0 0 24 143 2014-05-15 $64.87 $61.00 10.5% 3.0% 12.9% 7.9% 0.0% 0.4% 0.8% -22.0K 65.8K -1.4K 0.00 103.91 0 22 24 143 2014-05-16 $64.70 $61.00 10.4% 3.0% 12.2% 7.8% 0.0% 0.2% 0.6% -29.2K 150.1K -1.8K 0.00 98.11 0 0 24 165 2014-05-19 $63.84 $61.00 10.6% 3.0% 13.4% 8.1% 0.0% -0.3% 0.1% -27.9K 201.2K -1.8K 0.00 82.63 0 0 24 165 2014-05-20 $64.05 $61.00 10.5% 3.0% 13.3% 7.9% 0.0% -0.4% 0.2% -28.4K 186.4K -1.8K 0.00 83.17 0 0 24 165 2014-05-21 $63.60 $61.00 10.1% 2.9% 13.5% 7.1% 0.0% -0.2% 0.3% -28.4K 217.9K -1.8K 0.00 84.88 0 0 24 165 2014-05-22 $63.82 $61.00 9.5% 2.7% 13.5% 6.1% 0.0% -0.1% 0.5% -28.0K 197.2K -1.7K 0.00 90.48 0 0 24 165 2014-05-23 $64.17 $61.00 9.5% 2.7% 13.6% 6.1% 0.0% -0.4% 0.4% -28.6K 169.5K -1.7K 0.00 89.89 0 0 24 165 2014-05-27 $64.25 $61.00 9.6% 2.7% 13.3% 6.2% 0.0% 0.2% 0.2% -28.4K 154.8K -1.7K 0.00 92.81 0 0 24 165 2014-05-28 $65.54 $61.00 10.7% 3.1% 14.6% 8.3% 0.0% 0.2% -0.4% -29.5K 88.7K -1.6K 0.00 96.25 0 0 24 165 2014-05-29 $65.29 $61.00 10.6% 3.0% 14.8% 8.0% 0.0% -0.3% -0.5% -32.9K 241.4K -1.5K 0.00 97.32 0 22 0 165 2014-05-30 $65.01 $61.00 9.8% 2.8% 14.1% 6.7% 0.0% -0.8% -0.1% -43.5K 379.8K -1.6K 0.00 89.47 0 0 0 187
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